Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions
arXiv:1211.5281 · doi:10.3150/11-BEJ382
Abstract
It is known that in many cases distributions of exponential integrals of Levy processes are infinitely divisible and in some cases they are also selfdecomposable. In this paper, we give some sufficient conditions under which distributions of exponential integrals are not only selfdecomposable but furthermore are generalized gamma convolution. We also study exponential integrals of more general independent increment processes. Several examples are given for illustration.
Published in at http://dx.doi.org/10.3150/11-BEJ382 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)